New Issue: HSBC sells $6.14 million leveraged buffered capped notes tied to index basket

By William Gullotti

Buffalo, N.Y., April 12 – HSBC USA Inc. priced $6.14 million of 0% leveraged buffered capped notes due June 7, 2024 linked to a basket of indexes, according to a 424B2 filing with the Securities and Exchange Commission.

The basket consists of the Euro Stoxx 50 index with a 36% weight, the Topix index with a 29% weight, the FTSE 100 index with a 16% weight, the Swiss Market index with a 11% weight and the S&P/ASX 200 index with an 8% weight.

The payout at maturity will be par plus 1.7 times any basket gain, up to a maximum settlement amount of par plus 66.3%.

Investors will receive par if the basket falls by up to 15% and will lose 1.1765% for every 1% decline beyond 15%.

HSBC Securities (USA) Inc. is the agent.

Issuer:	HSBC USA Inc.
Issue:	Leveraged buffered capped notes
Underlying indexes:	Euro Stoxx 50 (36% weight), Topix (29% weight), FTSE 100 (16% weight), Swiss Market (11% weight) and S&P/ASX 200 (8% weight)
Amount:	$6,144,000
Maturity:	June 7, 2024
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus 1.7 times any basket gain, subject to a maximum payout of $1,663 per $1,000 face amount of notes; par if the basket falls by up to 15%; 1.1765% loss for every 1% decline beyond 15%
Initial index levels:	3,802.01 for Stoxx, 1,892.9 for Topix, 7,551.81 for FTSE, 12,372.46 for Swiss Market, 7,442.834 for S&P/ASX
Buffer levels:	85% of initial basket level
Pricing date:	April 7
Settlement date:	April 14
Agent:	HSBC Securities (USA) Inc.
Fees:	None
Cusip:	40439JU60

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